The Chambolle--Pock method converges weakly with $θ>1/2$ and $τ σ\|L\|^2<4/(1+2θ)$ (2309.03998v1)

Abstract: The Chambolle--Pock method is a versatile three-parameter algorithm designed to solve a broad class of composite convex optimization problems, which encompass two proper, lower semicontinuous, and convex functions, along with a linear operator $L$. The functions are accessed via their proximal operators, while the linear operator is evaluated in a forward manner. Among the three algorithm parameters $\tau $, $\sigma $, and $\theta$; $\tau,\sigma >0$ serve as step sizes for the proximal operators, and $\theta$ is an extrapolation step parameter. Previous convergence results have been based on the assumption that $\theta=1$. We demonstrate that weak convergence is achievable whenever $\theta> 1/2$ and $\tau \sigma |L|^2<4/(1+2\theta)$. Moreover, we establish tightness of the step size bound by providing an example that is non-convergent whenever the second bound is violated.